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The pricing of forward-starting asian options

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Author Info
Bouaziz, Laurent
Briys, Eric
Crouhy, Michel
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File URL: http://www.sciencedirect.com/science/article/B6VCY-45JK5WG-3/2/9d5fdfef3c89d7b030b19e6d7b3d7199
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Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 18 (1994)
Issue (Month): 5 (October)
Pages: 823-839
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Handle: RePEc:eee:jbfina:v:18:y:1994:i:5:p:823-839

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  1. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Economics Working Papers 680, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  3. Vicky Henderson & David Hobson & William Shaw & Rafal Wojakowski, 2003. "Bounds for Floating-Strike Asian Options using Symmetry," OFRC Working Papers Series 2003mf04, Oxford Financial Research Centre. [Downloadable!]
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